At this age, children are excellent observers of the differences between people. They are often particularly fascinated by what sets boys and girls apart; your child knows he's a boy, but he's still trying to figure out what makes him a boy (besides the obvious, of course). He's likely to look at hair, clothing, and activities, as opposed to what's below the diaper line.
Your child's concept of "gender stability" (the idea that males and females stay the same no matter what they look like on the outside) is pretty shaky at this point. So your child may think a person becomes a boy or girl with just a change of costume. Don't let it throw you if he tries on his big sister's hat or goes for your eye shadow. And definitely don't make fun of him or forbid his experiments: All of this is part of finding out who he is as a person.
Your son may also insist that he'll be a mommy when he grows up that's just his way of feeling close to you. His gender confusion will sort itself out by the time he's 4 or 5 without any lectures or anatomical explanations.
Of course, that's not to say that the genitals aren't of interest at this age. Preschoolers love exploring their bodies. You can help channel this attention in the right direction by teaching your child about modesty and privacy. Be sure to give your child clear explanations of how boys and girls are physically different, and use the proper names for all body parts that's the best way to start a healthy sex education. Take advantage of your child's natural interest in these things, but keep it simple. At this age, he's working out some very basic ideas about gender differences. Too much detail will overwhelm him.